Academy of Mathematics and Systems Science, CAS Colloquia & Seminars
Speaker:
Prof. Arnulf Jentzen, ETH Zurich
Inviter:
洪佳林
Title:
Numerical approximations results for forward and backward stochastic differential equations
Time & Venue:
2018.9.14 11:00-12:00 N902
Abstract:
In this talk we first study approximation algorithms for forward stochastic differential equations (forward SDEs) and, thereafter, we introduce and study new approximation algorithms for backward stochastic differential equations (backward SDEs). In particular, in the case forward SDEs we present several lower bounds for strong and weak approximation errors. In the case of backward SDEs we establish upper bounds for a new algorithm which overcomes the curse of dimensionality in the numerical approximation of backward SDEs.